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Skills Required

Project Budget

$30 - $250 USD

Total Bids

9

Project Description

1. Use R to complete) Create a transition matrix showing the average stock turnover of each quintile.

For example, if there are Nt stocks in Quintile 1 in time T, and 50%/20%/10%/10%/5% of them migrated to quintile 1/2/3/4/5 respectively in time T+1, the turnover rate vector (1X5) for Quintile 1 in T+1 will be 50%/20%/10%/10%/5%. The transition matrix will show the average turnover rates over time for each quintile.

All necessary data are ready on the tab namely “Q2 data”.

You can assume the following,

1. Turnovers are calculated since Jan 2006.
2. Stocks associated with “NA” at time T+1 are excluded from calculating turnover at T+1.
3. Any stocks moving outside the universe at time T+1 are excluded from calculating turnover at T+1.

The R program must include the below setting,

1. Time range: Start month and end month, ie flexible for selecting a period between Jan 2006 and July 2013.
2. Periods: “Monthly”, “Quarterly”, or “Semi-annually”, ie turnover over next 1, 3 or 6 months respectively.
3. Sector: sector grouping can be “All”, “Financials”, or “Non-Financials”, ie turnover within the whole universe/all stocks, Financials sector or Non-Financials sector.

“a” is the expected drift rate.
“b” is the standard deviation of the Wiener process.
“ε” is the random variable under normal (0,1) distribution.

Apply an investment strategy on an index which follows the Wiener process. The simulator can generate the expected return of the strategy and create a distribution graph of the portfolio yearly returns base on the simulations (see sample graph below). Data and output must be in separate worksheets.

You can assume the following:
1) Cash return is zero.
2) Each simulation is 1 year long and 1 year has 250 trading days.
3) Index level and portfolio NAV are start from 10000.
4) Portfolio rebalances at the beginning of the each day.

The simulator must be flexible enough to handle:
1) Difference “a”, “b”, upper limit and lower limit given by the investor.
2) As many simulations as the investor needs.